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BUILT-IN MATHEMATICA SYMBOL
ProcessEstimator
ProcessEstimator
is an option to EstimatedProcess and FindProcessParameters that specifies what process parameter estimator to use.
Details
- The following basic settings can be used:
-
Automatic automatically choose the estimator to use "MaximumLikelihood" maximize the log-likelihood function - The maximum likelihood method will maximize the log-likelihood function
, where 
is the process parameters and 
is the PDF for the joint SliceDistribution of the 
path. - ProcessEstimator->{"estimator", Method->"solver"} specifies what underlying optimization solver to use.
- Possible solver settings for
include: -
Automatic automatically chosen solver "FindMaximum" use FindMaximum to maximize log-likelihood "NMaximize" use NMaximize to maximize log-likelihood - With the setting ProcessEstimator->{"estimator", Method->{"solver", opts}}, additional options can be given for the solver.
- Solver methods such as NMaximize that do not rely on starting values will not make use of starting values given to EstimatedProcess or FindProcessParameters.
- Special settings for ProcessEstimator are documented under the individual random process reference pages.
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